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UForeErrors computes error statistics on a series of in-sample one-step forecasts. You supply the series of actual data and forecasts and it computes statistics such as the mean and root mean square errors.



@UForeErrors( options ) actual forecast start end

Parameters

actual	series of actual values
forecast	series of forecasts
start end	range of forecasts to analyze (by default, the range of the series forecast)

Options

[print]/noprint
title=descriptive title for forecasts
theildecomp/[notheildecomp]
window=title for report window [not used]

Variables Defined

%%FERRMEAN	mean forecast error
%%FERRMAE	mean absolute error
%%FERRMSE	root mean square error
%%FERRMPE	mean percentage error
%%FERRMAPE	mean absolute percentage error
%%FERRMSPE	root mean square percentage error

Example

Code: Select all

*
* Makridakis et al, Forecasting Methods and Applications, 3rd edition
* Example of moving average smoothing, pp 143-145
*
data(unit=input) 1 11 shipments
 200 135 195 197.5 310 175 155 130 220 277.5 235
*
* The filter instruction with TYPE=LAGGING computes the average of the
* input data for periods t,t-1,...,t-span+1
*
filter(type=lagging,span=3) shipments / ma3
filter(type=lagging,span=5) shipments / ma5
*
* The forecast values for t is just the smoothed value for t-1. This
* instruction handles that.
*
set ma3fore = ma3{1}
set ma5fore = ma5{1}
*
* This analyzes the forecasts errors
*
@uforeerrors(title="MA(3) forecasts") shipments ma3fore
@uforeerrors(title="MA(5) forecasts") shipments ma5fore
*
graph(footer="Figure 4-4 Shipments of Electric Can Openers with Moving Average Forecasts",$
 key=attached,klabels=||"Observed values","MA(3)","MA(5)"||) 3
# shipments
# ma3fore
# ma5fore

Sample Output

Code: Select all

MA(3) forecasts
From 4 to 11
Mean Error                  17.7083333
Mean Absolute Error         71.4583333
Root Mean Square Error      79.9728687
Mean Square Error          6395.659722
Theil's U                     1.064827

Mean Pct Error               -0.012779
Mean Abs Pct Error            0.348937
Root Mean Square Pct Error    0.387478
Theil's Relative U            1.150330